Please find more information here.
Thanks for posting.
Unfortunately, remote audio is currently only available when connecting to Windows OS.
If you are connecting to a Mac, due to restrictions in the operating system it is not possible to hear the sound on that computer.
You can have audio when connecting from a Mac or other OS to Windows OS.
This is in as a feature request but I cannot say if or when this will be implemented sorry.
Good to know this. It's over a year later. I want to connect from ipad to macbook and see and hear on the ipad what's going on on the macbook.
It would really help to have audio between iOS machines.